文章基本信息

标题：Estimation of the Autoregressive Order in the Presence of Measurement Errors
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作者：Terence Tai-Leung Chong ; Chi-Leung Wong ; Venus Liew 等
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2006
卷号：3
出版社：Economics Bulletin
摘要：Most of the existing autoregressive models presume that the observations are perfectly measured. In empirical studies, the variable of interest is unavoidably measured with various kinds of errors. Thus, misleading conclusions may be yielded due to the inconsistency of the parameter estimates caused by the measurement errors. Thus far, no theoretical result on the direction of bias of the lag order estimate is available in the literature. In this note, we will discuss the estimation an AR model in the presence of measurement errors. It is shown that the inclusion of measurement errors will drastically increase the complexity of the problem. We show that the lag lengths selected by the AIC and BIC are increasing with the sample size at a logarithmic rate.
关键词：Autoregressive Process Measurement Error Akaike Information Criterion Bayesian Information Criterion